A STUDY ON THE RELATIONSHIP BETWEEN PRICE AND NET ASSET VALUE OF THE EXCHANGE TRADED FUNDS IN INDIA

被引：0
|
作者：
Munusamy, Dharani [1 ]
Narayanamurthy, Vijayakumar [2 ]
Sivanmalaiappan, Muruganandam [3 ]
机构：
[1] ICFAI Univ, ICFAI Business Sch, Dept Finance, Hyderabad 501203, Andhra Pradesh, India
[2] PSG Inst Management, SG, Coimbatore 14, Tamil Nadu, India
[3] SDM Coll Autonomous, PG Dept Commerce, Mangalore 574240, Karnataka, India
来源：
SMART-JOURNAL OF BUSINESS MANAGEMENT STUDIES | 2016年 / 12卷 / 02期
关键词：
Exchange Traded Fund; Net Asset Value; Unit Root and Causality;
D O I：
10.5958/2321-2012.2016.00011.7
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The study examines the causal relationship between daily price return and Net Asset Value (NAV) of the Exchange Traded Funds (ETF), from the listing date of each ETF to December 2013. The study employed Augmented Dickey Fuller (ADF) Unit Root Test for Price and NAV and Granger Causality Test. The study found that the daily time series of the Price and NAV of the selected ETFs were stationary in the first difference and the causality test revealed the existence of bidirectional relationship between them.
引用
收藏
页数：9
相关论文
共 50 条
  • [1] Exchange traded funds and asset return correlations
    Da, Zhi
    Shive, Sophie
    EUROPEAN FINANCIAL MANAGEMENT, 2018, 24 (01) : 136 - 168
  • [2] Pricing Efficiency of Exchange Traded Funds in India
    Reddy, Y. V.
    Dhabolkar, Pinkesh
    ORGANIZATIONS AND MARKETS IN EMERGING ECONOMIES, 2020, 11 (01) : 244 - 268
  • [3] The price efficiency of South African exchange traded funds
    Charteris, A.
    INVESTMENT ANALYSTS JOURNAL, 2013, (78) : 1 - 11
  • [4] PRICE DYNAMICS AND LIQUIDITY OF EXCHANGE-TRADED FUNDS
    Madhavan, Ananth
    Sobczyk, Aleksander
    JOURNAL OF INVESTMENT MANAGEMENT, 2016, 14 (02): : 86 - 102
  • [5] The Efficiency of Alternative and Conventional Energy Exchange-Traded Funds: Are Clean Energy Exchange-Traded Funds a Safer Asset?
    Henriques, Carla Oliveira
    Neves, Maria Elisabete
    Couceiro, Joao Jorge
    INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2024, 12 (01):
  • [6] ACTIVE MANAGEMENT AND PRICE EFFICIENCY OF EXCHANGE-TRADED FUNDS
    Chen, Tao
    Wong, Karen H. Y.
    Susai, Masayuki
    PRAGUE ECONOMIC PAPERS, 2016, 25 (01): : 3 - 18
  • [7] Exchange-traded funds as a universal tool for digitized asset trading
    Loginov, M. P.
    Tatyannikov, V. A.
    PROCEEDINGS OF THE 1ST INTERNATIONAL SCIENTIFIC CONFERENCE MODERN MANAGEMENT TRENDS AND THE DIGITAL ECONOMY: FROM REGIONAL DEVELOPMENT TO GLOBAL ECONOMIC GROWTH (MTDE 2019), 2019, 81 : 164 - 168
  • [8] Fair value measurements of exchange-traded funds
    Badenhorst, Wessel Marthinus
    MEDITARI ACCOUNTANCY RESEARCH, 2015, 23 (03) : 331 - 347
  • [9] Market efficiency of gold exchange-traded funds in India
    Nargunam, Rupel
    Anuradha, N.
    FINANCIAL INNOVATION, 2017, 3 (01)
  • [10] Market efficiency of gold exchange-traded funds in India
    Rupel Nargunam
    N. Anuradha
    Financial Innovation, 3
12345